Research Article

The primary value of a time series model lies in its ability to provide reliable approximations of the modelled variable, both in-sample (where data are used to estimate model
parameters) and out-of-sample (where the model is updated with new information and produces forecasts). In this paper, an overview of the various models in the GARCH family is followed by their application in estimating the daily volatility of Citigroup Inc., a major player in the US. sub-prime mortgage crisis. Fitting these estimates to the ex-post realized volatility measure constructed from high-frequency returns provides superior goodness-of-t than tting them to the [...]

Research Article

Positive illiquidity premium is documented to be linked with the illiquidity effect across global markets. This evidence is generally suggested through some asset pricing model, such as Acharya and Pedersen (2005) or others. Our study shows that the success of any such model in terms of magnitude of predicted risk premium is linked with a measure of illiquidity used in the study. The main implication of this evidence is that the variety of illiquidity related risk premiums can be reported for the same market, or for the number of markets. To elaborate this point, the test case of Australian stock [...]

Research Article

The purpose of this study is to examine the impact of Islamic Banks and Takaful on economic growth of Pakistan. Using panel data from 2009 to 2014 of five Islamic Banks and five Takaful Companies, and taking Gross Domestic Product (GDP) as dependent variable, Total Deposits (TD) of Islamic Banks and Total contribution (TC) of Takaful companies as independent variables, analysis is done to find the impact of Islamic Banks and Takaful companies on the economic growth of the country. The study employs Fixed Effect Model for the econometric analysis. The study concluded that there is a significant role of [...]

Research Article

The purpose of this study is to check the impact of financial literacy and behavioral biases on investor's portfolio diversification. Data were collected through questionnaire using sample size of 181 investors trading in Pakistan Stock Market. The results indicate that financial literacy has insignificant and positive influence on investor's portfolio diversification, behavioral biases such as familiarity and availability biases have insignificant and negative while overconfidence bias has significant negative impact on investor's portfolio diversification. Portfolio size also has significant positive impact on portfolio diversification. The findings suggest the implementation of financial literacy programs to facilitate the investors, trading in different [...]